Loss Rates for Lévy Processes with Two Reflecting Barriers

DOI10.1287/moor.1060.0226zbMath1341.60036OpenAlexW1982701076MaRDI QIDQ5388032

Mats Pihlsgård, Soren Asmussen

Publication date: 27 May 2008

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/70ea4c6813520ca177035624b3543ed24ce6d9ba

zbMATH Keywords

asymptoticsreflectionSkorokhod problemmartingalelocal timeLévy processlight tailCramér-Lundberg approximationloss rateLundberg equationMarkov-modulated Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Queueing theory (aspects of probability theory) (60K25) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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